matthew28 

for stop loss market orders it makes no difference how long the order was sat there.

Is this really true for exchange hosted stops? When they sweep multiple levels out of the book there would have to be some ordering even if they execute simultaneously

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warriortrader007 

Hi, guys! I had 1-5 ticks slippage on the CL futures on the IB account (I'm using TWS with IB now) last couple of months. I suppose it's not the good situation... I'm not scalper. My stops are 20+ ticks. I had the slippage of 14 ticks once (after the Trump's tweet, late night), by the way. It's record by now. What typical slippages do you have on your favourite trading instruments?

when did you have the 14 tick slippage?

I suggest you look at the program settings in TWS. Again, I have seen this extreme slippage in other markets and I believed it was due to the way that TWS uses broker held vs exchange stops. You may have to change it to "stop limit orders"/stop with protection because I think CME doesn't support the "stop loss market order".

I suggest you also provide logs as recommended from others here. So they can evaluate if the slippage might be reasonable.

Odds Dumpeertje 

Is this really true for exchange hosted stops? When they sweep multiple levels out of the book there would have to be some ordering even if they execute simultaneously Sent using the NexusFi mobile app

Hmm. Yes you must be right. I was thinking when a price is touched then all the stops get set off but like you say but there still has to be an order to that. Thanks. I have edited my post.

Any NQ traders who can tell me her/his biggest slippage ever experienced in the stop limit orders (stop loss) ?
If not then any other CME/Globex FIFO only instrument (but not ES) is ok too.

Stop limit orders don’t have slippage, they’re a limit order. Having said that The NQ is super sloppy and I’ve been moved up to $50 away from where I clicked on one contract when entering with a market order, which is the same as a stop loss, so yeah use limit orders the whole time or calculate at least 50 bucks will go to your high frequency friends at the CME


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numberjuani 

Stop limit orders don’t have slippage, they’re a limit order. Having said that The NQ is super sloppy and I’ve been moved up to $50 away from where I clicked on one contract when entering with a market order, which is the same as a stop loss, so yeah use limit orders the whole time or calculate at least 50 bucks will go to your high frequency friends at the CME Sent using the NexusFi mobile app

No. Stop Limit order is a native order type and fully supported. When the stop price is traded the order will be matched and if not filled fully the partial amount will be left as a limit oder.

Obviously I am talking about a slippage from the stop price and orders used for stop loss so it's a wide set up.

Just tell me the slippage between the stop price and the execution average/prices.